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All Journal Jurnal Ekonomi, Bisnis dan Kewirausahaan (JEBIK) Journal of Economics, Business, & Accountancy Ventura Journal of Indonesian Economy and Business Benefit: Jurnal Manajemen dan Bisnis MODUS-Jurnal Ekonomi dan Bisnis Jurnal Manajemen Indonesian Capital Market Review
Sukmawati Sukamulja
Atma Jaya Yogyakarta University
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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 1 
WHAT BLINKS STOCK MARKET PRICES? AN EMPIRICAL STUDY FROM JAKARTA STOCK EXCHANGE Sukamulja, Sukmawati
Journal of Indonesian Economy and Business Vol 17, No 4 (2002): October
Publisher : Journal of Indonesian Economy and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (228.126 KB)

Abstract

Banyak orang sering bertanya-tanya bagaimana harga saham terbentuk di pasar. Volatilitas harga berdasarkan pada Wall Street Adage (kata-kata klasik yang bijak dari para pemain di Wall Street) adalah volume trading yang mengerakkan harga. Volume trading dalam kenyataannya dapat dikelompokkan ke dalam jumlah perdagangan dan rata-rata jumlah transaksi setiap perdagangan. Penelitian ini dengan menggunakan kapitalisasi pasar dalam pembentukan portofolionya akan melihat manakah yang mendorong volatilitas harga, jumlah/banyaknya transaksi atau rata-rata besarnya volume saham per transaksi. Penelitian ini juga melihat jenis informasi yang mempengaruhi perusahan. Informasi yang bersifat umum dan informasi yang bersifat spesifik. Hasil penelitian ini menyimpulkan bahwa jumlah transaksi secara signifikan positip mempengaruhi volatilitas harga saham di Bursa Efek Jakarta. Perusahaan dengan kapitalisasi besar secara signifikan berhubungan dengan informasi yang bersifat umum. Untuk informasi spesifik secara signifikan berhubungan baik untuk perusahaan berkapitalisasi kecil maupun perusahaan berkapitalisasi besar.Kata kunci: number of trades, trade size, marketwide information, firm specific information, dan volatility.
GOOD CORPORATE GOVERNANCE DI SEKTOR KEUANGAN: DAMPAK GCG TERHADAP KINERJA PERUSAHAAN (Kasus di Bursa Efek Jakarta) Sukamulja, Sukmawati
Benefit Volume 8 No 1 Juni 2004
Publisher : Universitas Muhammadiyah Surakarta

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Abstract

Corporate governance has become an issue of global significance. The improvement of corporategovernance practices is widely recognized as one of the essential elements in strengthening the foundationfor the long-term performance of countries and corporation. It has also been linked to the broader issuesof national governance and action against corruption at all levels of society within the economicframework of countries. In business, investors would pay a substantial premium for well governedcompanies. Indonesia as one of the emerging countries needs to implement the good corporate governanceto cope with the global economy. The stream of interest in this empirical research examines theapplication of good corporate governance in companies based on annual report that affects to thecompany’s market value, measured with Tobin’s Q.
GOOD CORPORATE GOVERNANCE DI SEKTOR KEUANGAN: DAMPAK GCG TERHADAP KINERJA PERUSAHAAN (Kasus di Bursa Efek Jakarta) Sukamulja, Sukmawati
Benefit: Jurnal Manajemen dan Bisnis Benefit : Kumpulan Makalah Diskusi Dosen FE UMS Volume 8 No 1 Juni 2004
Publisher : Universitas Muhammadiyah Surakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23917/benefit.v8i1.1193

Abstract

Corporate governance has become an issue of global significance. The improvement of corporategovernance practices is widely recognized as one of the essential elements in strengthening the foundationfor the long-term performance of countries and corporation. It has also been linked to the broader issuesof national governance and action against corruption at all levels of society within the economicframework of countries. In business, investors would pay a substantial premium for well governedcompanies. Indonesia as one of the emerging countries needs to implement the good corporate governanceto cope with the global economy. The stream of interest in this empirical research examines theapplication of good corporate governance in companies based on annual report that affects to thecompany’s market value, measured with Tobin’s Q.
[RETRACTED] : PENGARUH KONTRAK FUTURES INDEKS TERHADAP VOLATILITAS UNDERLYING SPOT MARKET DI INDONESIA Sukamulja, Sukmawati; Fidanti, Sony
Jurnal Manajemen Vol 21, No 1 (2017): February 2017
Publisher : Fakultas Ekonomi dan Bisnis, Universitas Tarumanagara

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (177.279 KB) | DOI: 10.24912/jm.v21i1.145

Abstract

Artikel dengan judul PENGARUH KONTRAK FUTURES INDEKS TERHADAP VOLATILITAS UNDERLYING SPOT MARKET DI INDONESIA dilakukan PENCABUTAN (RETRACTED) dari Jurnal Manajemen Vol.21, No. 1(2017) pada URL http://ecojoin.org/index.php/EJM/article/view/145, karena DITEMUKAN telah pernah DITERBITKAN pada JURNALEM 28 September 2016 halaman 1-13 pada tautan daring http://e-journal.uajy.ac.id/10404/Pemberitahuan PENCABUTAN artikel ini dapat juga ditemui pada Jurnal Manajemen Vol.22 No. 3 (2018) dengan URLhttp://ecojoin.org/index.php/EJM/article/view/389
PENGGUNAAN KOMBINASI INDIKATOR SMA, EMA, MACD, RSI, DAN MFI UNTUK MENENTUKAN KEPUTUSAN BELI DAN JUAL PADA SAHAM-SAHAM DI SEKTOR LQ45 BEI TAHUN 2018 Santoso, Agustinus Adi; Sukamulja, Sukmawati
Modus Journals Vol 32, No 2 (2020): MODUS
Publisher : Faculty of Economics Universitas Atma Jaya Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24002/modus.v32i2.3519

Abstract

ABSTRACTThis research was conducted to determine the selection of the highest performing stock group indicators, so that it can be used as a reference for buying shares. This study tested six combinations of technical indicator groups, then this technical combination was used to test the price of shares whose companies are included in the LQ45 group on the Indonesia Stock Exchange (BEI) in 2018. The results of this study indicate that the use of stock indicator groups with the maximum profit percentage and the shortest number of days is the best groups. The sequence of indicator groups with good performance to poor performance is 1: EMA, MFI, and RSI; 2: MA, MFI, and RSI; 3: MA, MACD, and MFI; 4: MA, MACD, and RSI; 5: EMA, MACD, and MFI; 6: EMA, MACD, and RSI. Keywords: Indonesia Stock Exchange; LQ45; stock trading; technical indicatorsABSTRAKPenelitian ini dilakukan untuk mengetahui pemilihan kelompok indikator saham yang paling tinggi kinerjanya, sehingga dapat dijadikan acuan untuk pembelian saham. Pada penelitian ini diuji enam kombinasi dari kelompok indikator teknikal, selanjutnya kombinasi teknikal ini digunakan untuk menguji harga saham yang perusahaannya termasuk dalam kelompok LQ45 di Bursa Efek Indonesia (BEI) tahun 2018. Hasil penelitian ini menunjukkan penggunaan kelompok indikator saham dengan persentase keuntungan maksimal dan jumlah hari yang paling pendek adalah yang paling baik. Urutan kelompok indikator dengan kinerja yang bagus ke kinerja yang kurang bagus adalah: Peringkat 1: EMA, MFI, dan RSI; Peringkat 2: MA, MFI, dan RSI; Peringkat 3: MA, MACD, dan MFI; Peringkat 4: MA, MACD dan RSI; Peringkat 5: EMA, MACD, dan MFI; Peringkat 6: EMA, MACD, dan RSI. Kata kunci: Bursa Efek Indonesia; LQ45; jual beli saham; indikator teknikal
Co-integration and Co-movement Between Asian Stock Price Index and Jakarta Composite Index Stevanius, Stevanius; Sukamulja, Sukmawati
The Indonesian Capital Market Review Vol. 12, No. 1
Publisher : UI Scholars Hub

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Abstract

The profit from international diversification to eliminate risks has caused investors to spread their capital to different international stock exchanges. The dynamic relations among stock exchanges indicate the presence of one or two-way relations among the stock exchanges. This happens because of the interdependence and integration that takes place among stock exchanges, such as interdependence among Asian markets. This research aims to analyze and discuss co-integration and co-movement between Asian stock price index and Indonesia. The research design used Vector Error Correction Model. The results of this research prove that in the short-term, there is a relationship between Kuala Lumpur Composite Index, Stock Exchange of Thailand Index, and Hang Seng Index against Jakarta Composite Index. In the results of co-integration test, there are co-integration and co-movement between the capital markets of Malaysia, Thailand, South Korea, Japan, Singapore, and Hong Kong with Indonesia capital market.
COVID-19’s Damages on International Stock Markets Susilo, Sylvia; Sukamulja, Sukmawati
Journal of Economics, Business, and Accountancy Ventura Vol. 25 No. 1 (2022): April - July 2022
Publisher : Universitas Hayam Wuruk Perbanas

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14414/jebav.v25i1.2999

Abstract

This research aims to analyze the effect of pandemic that hit the world: COVID-19 on return of the international stock market from March 11, 2020 until March 11, 2022. COVID-19 is measured by growth in cases and death. The novelty from this research is the use of 30 countries with the highest COVID-19’s cases. Methods of analysis used in this research are Error Correction Model (ECM) and Granger’s Causality Test using EViews 10. ECM’s result on X1 to Y show a significant effect on 22 countries in long-term and 22 countries in short-term. X2 and Y in ECM’s result show a significant effect on 23 countries in long-term and 26 countries in short-term. Two-way causality on X1 and Y occurred in 25 countries. Variables X2 and Y showed two-way causality on 28 countries. This research conducted to contribute for research and observation of the phenomenon that currently engulfing the world, COVID-19 pandemic.
COVID-19’s Damages on International Stock Markets Susilo, Sylvia; Sukamulja, Sukmawati
Journal of Economics, Business, and Accountancy Ventura Vol. 25 No. 1 (2022): April - July 2022
Publisher : Universitas Hayam Wuruk Perbanas

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14414/jebav.v25i1.2999

Abstract

This research aims to analyze the effect of pandemic that hit the world: COVID-19 on return of the international stock market from March 11, 2020 until March 11, 2022. COVID-19 is measured by growth in cases and death. The novelty from this research is the use of 30 countries with the highest COVID-19’s cases. Methods of analysis used in this research are Error Correction Model (ECM) and Granger’s Causality Test using EViews 10. ECM’s result on X1 to Y show a significant effect on 22 countries in long-term and 22 countries in short-term. X2 and Y in ECM’s result show a significant effect on 23 countries in long-term and 26 countries in short-term. Two-way causality on X1 and Y occurred in 25 countries. Variables X2 and Y showed two-way causality on 28 countries. This research conducted to contribute for research and observation of the phenomenon that currently engulfing the world, COVID-19 pandemic.
Market Overreaction pada Bursa Efek Indonesia dengan Size Effect Sebagai Variabel Pemoderasi Tanady, Melisa; Sukamulja, Sukmawati
Jurnal Ekonomi Bisnis dan Kewirausahaan Vol 9, No 3 (2020): Jurnal Ekonomi Bisnis dan Kewirausahaan (JEBIK)
Publisher : Fakultas Ekonomi dan Bisnis, UNTAN

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26418/jebik.v9i3.40833

Abstract

The purpose of this study is to examine market overreaction phenomenon and market overreaction impact on abnormal return that moderated by size effect of LQ45 index between five years period (2015-2019). Secondary data on Indonesian Stock Exchange website are taken as samples.   Wilcoxon test and interaction effects regression test are used to prove the evidences. The Wilcoxon test is developed in order to confirm that market overreaction occurs on winner and loser portfolio. The result shows that market overreaction occurs in the short and long term. Interaction effects regression test shows the size effect as moderating variable does not strengthen or weaken the relationship of market overreaction to abnormal returns. The findings show that company size has an independent effect, which means abnormal returns are more common in large companies. Size effect concept does not occur in the Indonesia Stock Exchange, especially the firms that always in the LQ45 index during the period of research.
PENGGUNAAN KOMBINASI INDIKATOR SMA, EMA, MACD, RSI, DAN MFI UNTUK MENENTUKAN KEPUTUSAN BELI DAN JUAL PADA SAHAM-SAHAM DI SEKTOR LQ45 BEI TAHUN 2018 Santoso, Agustinus Adi; Sukamulja, Sukmawati
Modus Vol. 32 No. 2 (2020): MODUS
Publisher : Faculty of Business and Economics Universitas Atma Jaya Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24002/modus.v32i2.3519

Abstract

ABSTRACTThis research was conducted to determine the selection of the highest performing stock group indicators, so that it can be used as a reference for buying shares. This study tested six combinations of technical indicator groups, then this technical combination was used to test the price of shares whose companies are included in the LQ45 group on the Indonesia Stock Exchange (BEI) in 2018. The results of this study indicate that the use of stock indicator groups with the maximum profit percentage and the shortest number of days is the best groups. The sequence of indicator groups with good performance to poor performance is 1: EMA, MFI, and RSI; 2: MA, MFI, and RSI; 3: MA, MACD, and MFI; 4: MA, MACD, and RSI; 5: EMA, MACD, and MFI; 6: EMA, MACD, and RSI. Keywords: Indonesia Stock Exchange; LQ45; stock trading; technical indicatorsABSTRAKPenelitian ini dilakukan untuk mengetahui pemilihan kelompok indikator saham yang paling tinggi kinerjanya, sehingga dapat dijadikan acuan untuk pembelian saham. Pada penelitian ini diuji enam kombinasi dari kelompok indikator teknikal, selanjutnya kombinasi teknikal ini digunakan untuk menguji harga saham yang perusahaannya termasuk dalam kelompok LQ45 di Bursa Efek Indonesia (BEI) tahun 2018. Hasil penelitian ini menunjukkan penggunaan kelompok indikator saham dengan persentase keuntungan maksimal dan jumlah hari yang paling pendek adalah yang paling baik. Urutan kelompok indikator dengan kinerja yang bagus ke kinerja yang kurang bagus adalah: Peringkat 1: EMA, MFI, dan RSI; Peringkat 2: MA, MFI, dan RSI; Peringkat 3: MA, MACD, dan MFI; Peringkat 4: MA, MACD dan RSI; Peringkat 5: EMA, MACD, dan MFI; Peringkat 6: EMA, MACD, dan RSI. Kata kunci: Bursa Efek Indonesia; LQ45; jual beli saham; indikator teknikal
Co-Authors Fidanti, Sony Santoso, Agustinus Adi STEVANIUS, STEVANIUS Susilo, Sylvia Tanady, Melisa